[R] portfolio optimization problem - use R

[fzp2008]

How to use R to solve the optimisaton problem

Minimize:
½*w^T*omega*w+mu^T*w+c^T(w-w0) for w>w0 long position
½*w^T*omega*w+mu^T*w-c^T(w-w0) for w<w0 short position

W: is the update weight of portfolio
Wo is the initial weight of portfolio

Omega is the variance covariance matrix 

mu is the vector of return rate of stocks in the portfolio

C is the vector coefficient of transaction cost
 
Is it a quandratic programming problem? Then how to write the objective
function? Or any other method to solve this?

-- 
View this message in context: http://www.nabble.com/portfolio-optimization-problem---use-R-tp18570399p18570399.html
Sent from the R help mailing list archive at Nabble.com.